Dias, Daniel (contributor); … - 2005
the idea of mean reversion. A formal distinction between γ, the unconditional probability of a given process not crossing … its mean in period t and γ̂, its estimator, is made clear and the relationship between γ and p , the widely used sum of …WORKING PAPER SERIES
NO. 450 / MARCH 2005
USING MEAN REVERSION
AS A MEASURE OF
PERSISTENCE
by Daniel Dias
and Carlos …